| Close | |
|---|---|
| Annualized Return | -0.0258 |
| Annualized Std Dev | 0.1823 |
| Annualized Sharpe (Rf=0%) | -0.1415 |
| Close | |
|---|---|
| Observations | 4484.0000 |
| NAs | 1.0000 |
| Minimum | -0.2126 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0038 |
| Maximum | 0.2250 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0115 |
| Skewness | -0.7002 |
| Kurtosis | 81.9947 |
| Close | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0130 |
| Downside Deviation (Rf=0%) | 0.0085 |
| Downside Deviation (0%) | 0.0085 |
| Maximum Drawdown | 0.6045 |
| Historical VaR (95%) | -0.0133 |
| Historical ES (95%) | -0.0264 |
| Modified VaR (95%) | -0.0021 |
| Modified ES (95%) | -0.0021 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-06 | 2020-03-18 | NA | -0.6045 | 4479 | 4225 | NA |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | 0.1 | 0.1 | -2.2 | -0.9 | 0.4 | 0.4 | -0.3 | -0.2 | -2.5 |
| 2004 | 0.4 | -0.6 | 0.9 | 1.5 | 0.3 | 0.2 | 0.3 | 0.4 | -0.4 | 0.4 | 0.7 | -0.1 | 4.1 |
| 2005 | 0.5 | 0.2 | -0.6 | 0.4 | 0.8 | 0.1 | -0.1 | 0.5 | -0.1 | -0.2 | 0.2 | 0.1 | 1.9 |
| 2006 | 0.3 | 0.2 | -0.6 | 0.3 | -0.5 | -0.2 | 0.3 | -0.2 | -0.3 | -0.2 | 0.3 | -0.3 | -0.9 |
| 2007 | 0.5 | -0.3 | -0.4 | -0.1 | -0.4 | -0.2 | -0.5 | 2.6 | 0.2 | 0.3 | 2.4 | 0.3 | 4.3 |
| 2008 | 0.4 | -1 | 1.2 | 0.7 | -1 | -0.2 | 2 | 0.1 | 3.9 | -0.2 | -5.9 | 1.4 | 1.2 |
| 2009 | -0.9 | -2.1 | 1.5 | 2.6 | 0.9 | 1.2 | 0.4 | 0.1 | -0.6 | -2.5 | 0.6 | -1.2 | -0.2 |
| 2010 | 2.2 | 1.2 | 0.2 | 0.3 | 0.8 | 0 | 0.1 | -0.4 | 0.4 | -0.7 | 0.5 | 0.6 | 5.5 |
| 2011 | 0.3 | 0.3 | 0.5 | -0.4 | -0.3 | 1.6 | 1.4 | 0.1 | -1.5 | -1.4 | -0.2 | -0.2 | 0 |
| 2012 | 0.1 | 0.1 | -0.6 | 0 | -0.1 | -0.3 | 0.1 | 0.4 | 0.6 | 1.1 | 0.3 | 1 | 2.7 |
| 2013 | 0.6 | 0.2 | 0.5 | -0.2 | -1.6 | -0.4 | -0.2 | 0.9 | -1 | 0 | 0 | 0.3 | -0.8 |
| 2014 | -0.1 | 0.4 | 0.1 | -0.5 | 0.3 | 0 | -0.2 | 0.3 | 0 | 0.6 | -1.2 | 1.7 | 1.3 |
| 2015 | -0.4 | 0.6 | -0.1 | 0.8 | 0.4 | 1.8 | 0.6 | 1 | -0.6 | 0.7 | 0.6 | 1.5 | 6.9 |
| 2016 | 0.4 | 0.6 | 0.2 | 0.9 | 0.6 | -0.1 | -0.4 | -0.7 | 0.8 | -0.2 | -0.8 | 0.4 | 1.8 |
| 2017 | -0.1 | 0.4 | -0.1 | -0.6 | 0.3 | 1.6 | 0.1 | 0.2 | 0 | 0.6 | 0.7 | 0.4 | 3.5 |
| 2018 | 0.3 | 0.2 | 0.2 | 0.2 | 0.3 | 0.1 | 0.2 | -0.4 | 0.2 | 0.7 | 0.2 | -0.1 | 2 |
| 2019 | 0.8 | -0.1 | -0.5 | 0.5 | -0.2 | -0.3 | 0.6 | -0.2 | 0.1 | 0.2 | 0.2 | 0.2 | 1.3 |
| 2020 | -0.4 | -1.3 | -3.9 | -2.2 | 0.3 | 0.3 | 0.1 | 2 | 0.6 | -0.7 | 0.2 | 0.6 | -4.4 |
| 2021 | 0.1 | 1.2 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-05-28 20.0 SPY 95.7 0.0028 0.0347 0.0423 0.149 -0.115 -0.322 NA <NA> NA NA NA
2 2003-05-29 20.0 SPY 95.4 -0.0026 0.0299 0.0395 0.131 -0.111 -0.319 NA <NA> NA NA NA
3 2003-05-30 20.0 SPY 97.0 0.016 0.0361 0.0548 0.142 -0.0939 -0.298 NA <NA> NA NA NA
4 2003-06-02 20.1 SPY 97.4 0.0041 0.0383 0.0593 0.158 -0.0921 -0.306 NA <NA> NA NA NA
5 2003-06-03 20.1 SPY 97.8 0.0041 0.0246 0.0487 0.181 -0.0634 -0.291 NA <NA> NA NA NA
6 2003-06-04 20.2 SPY 99.2 0.0144 0.0365 0.0659 0.188 -0.0523 -0.281 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>